CADFpvalues
(Package: CADFtest) :
p-values of the CADF test for unit roots
The asymptotic p-values of the Hansen's (1995) Covariate-Augmented Dickey Fuller (CADF) test for a unit root are computed using the approach outlined in Costantini et al. (2007). The function can be used also to compute the p-values of the ordinary Dickey-Fuller distribution.
● Data Source:
CranContrib
● Keywords:
● Alias: CADFpvalues
●
0 images
|
residuals.CADFtest
(Package: CADFtest) :
Function to extract the residuals from CADFtest objects
This function applies the residuals() method to an object of class CADFtest.
● Data Source:
CranContrib
● Keywords:
● Alias: residuals.CADFtest
●
0 images
|
summary.CADFtest
(Package: CADFtest) :
Function to print a summary of CADFtest objects
This function conveniently prints the detailed results of the Covariate-Augmented Dickey Fuller test carried out in CADFtest.
● Data Source:
CranContrib
● Keywords:
● Alias: summary.CADFtest
●
0 images
|
CADFtest
(Package: CADFtest) :
Hansen's Covariate-Augmented Dickey Fuller (CADF) test for unit roots
This function is an interface to CADFtest.default that computes the CADF unit root test proposed in Hansen (1995). The asymptotic p-values of the test are also computed along the lines proposed in Costantini et al. (2007). Automatic model selection is allowed. A full description and some applications can be found in Lupi (2009).
● Data Source:
CranContrib
● Keywords: htest, ts, univar
● Alias: CADFtest, CADFtest.default, CADFtest.formula
●
0 images
|
|
Internal functions to compute the HAC estimator.
● Data Source:
CranContrib
● Keywords: internal
● Alias: bread.mlm, estfun.mlm
●
0 images
|
plot.CADFtest
(Package: CADFtest) :
Function to plot CADFtest objects
This function conveniently plots the residuals of the Covariate Augmented Dickey-Fuller or the standard Augmented Dickey-Fuller regression carried out in CADFtest.
● Data Source:
CranContrib
● Keywords:
● Alias: plot.CADFtest
●
1 images
|
update.CADFtest
(Package: CADFtest) :
Function to update the formula of CADFtest objects
This function updates the formula and/or the other arguments of CADFtest object and re-run the test using the updated arguments. It can be useful if one wants to see the effect of adding/removing stationary covariates or the effect of changing lags, kernel, etc. If covariates have to be added/removed, update() works only if model is passed as a formula.
● Data Source:
CranContrib
● Keywords:
● Alias: update.CADFtest
●
0 images
|
providing 
.